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Anyone else done this? Thinking of going to school full time to see it through.
FYI:
I do not have any schooling past highschool. I got really lucky and ended up an SRE after working my way off the helpdesk.
Important context is that my undergraduate degree was in mechanical engineering, even though I ended up moving straight into CS afterwards.
I found a job as a machine design engineer at a company that designs computer controlled milling machines and I've loved it ever since. 90% of my day to day job is mechanical, but I have a plenty of domain specific knowledge to handle the CNC side of things. I've found it's the perfect balance for me.
One word of caution for you about physical engineering: If you are working at a company that sells a physical product (not just working on 100% research and development ala Bell Laboratories) you will spend a lot of your time working on supply chains, handling quality control, helping the purchasing department, answering customer support questions that are escalated to you, etc. I would say that actual textbook mechanical engineering is about 20% of the job.
Addendum: I see that you are interested in the machining side of things as well. If you are looking for mechanical design jobs, this is something you will want to ask about early in the interview process. Some companies never let mechanical designers into the R&D lab to make prototypes and instead have a dedicated staff that only does that. Other companies (like mine) specifically select for engineers with manufacturing skills and encourage you to be able to make your own prototypes.
Would you consider a more hybrid approach? Embedded development gives you a bit of both worlds. Mostly in C/C++, but you write code that interacts with and directly controls hardware.